I've found MenuWeather to provide the best combination of UI, information, accuracy, feature set, price, and looks for Mac OS. Weather HD runs second, mostly because its pricier with less information / fewer features, but prettier.

For iOS I would love to use MenuWeather as well, but the UI is a bit awkward, the icon is terrible, and (more importantly) the developer hasn't added badge notification yet, which is just too useful to forego. So instead I use Fahrenheit or Weather Live.